Specification Estimation And Analysis Of Macroeconometric Models
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Specification Estimation And Analysis Of Macroeconometric Models
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Author : Ray C. Fair
language : en
Publisher: Harvard University Press
Release Date : 1984
Specification Estimation And Analysis Of Macroeconometric Models written by Ray C. Fair and has been published by Harvard University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Business & Economics categories.
This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent's classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models. A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little additional programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair's United States model is available from Urban Systems Research & Engineering, Inc. Anyone wanting to learn how to use large macroeconomic models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.
Testing Macroeconometric Models
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Author : Ray C. Fair
language : en
Publisher: Harvard University Press
Release Date : 1994
Testing Macroeconometric Models written by Ray C. Fair and has been published by Harvard University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.
In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.
Macroeconometric Models
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Author : Władysław Welfe
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-02-15
Macroeconometric Models written by Władysław Welfe and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-15 with Business & Economics categories.
This book gives a comprehensive description of macroeconometric modeling and its development over time. The first part depicts the history of macroeconometric model building, starting with Jan Tinbergen's and Lawrence R. Klein's contributions. It is unique in summarizing the development and specific structure of macroeconometric models built in North America, Europe, and various other parts of the world. The work thus offers an extensive source for researchers in the field. The second part of the book covers the systematic characteristics of macroeconometric models. It includes the household and enterprise sectors, disequilibria, financial flows, and money market sectors.
Computational Econometrics
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Author : Charles G. Renfro
language : en
Publisher: IOS Press
Release Date : 2004
Computational Econometrics written by Charles G. Renfro and has been published by IOS Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.
This publication contains a substantial amount of detail about the broad history of the development of econometric software based on the personal recollections of many people. For economists, the computer has increasingly become the primary applied research tool, and it is software that makes the computer work.
Macroeconomic Modeling
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Author : Ray C. Fair
language : en
Publisher: MIT Press
Release Date : 2025-01-21
Macroeconomic Modeling written by Ray C. Fair and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-01-21 with Business & Economics categories.
An empirical approach to constructing macroeconomic models. Macroeconomic Modeling presents an empirically based approach to the construction of macroeconomic models—the Cowles Commission approach—as a response to the backlash that has taken place since the late 1970s to this methodology. The emphasis in the literature has been on tightly specified theoretical models, which lack realism. In this book, Ray C. Fair develops models to analyze a variety of issues and events in macroeconomics and the US economy, and he explains the econometric techniques needed to estimate those models. Many of the results are either contrary to results from the theoretical models or cannot be examined by the theoretical models because they omit many important features of the economy. Fair covers a broad range of topics, including inflation and unemployment, the size of wealth effects, the behavior of the Federal Reserve and its effects on the economy, the effects of fiscal policy, Okun’s law, and contractions and expansions. Macroeconomic Modeling will appeal equally to graduate students and researchers as well as macroeconomic policy makers.
Macroeconomic Modeling And Policy Analysis For Less Developed Countries
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Author : Mohammed F Khayum
language : en
Publisher: Routledge
Release Date : 2019-03-07
Macroeconomic Modeling And Policy Analysis For Less Developed Countries written by Mohammed F Khayum and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-07 with Social Science categories.
This book provides an overview of macroeconometric modeling for less developed countries, a description of the structure and performance of Guyana's economy, an empirical testing of the model using annual data for Guyana, and a simulation approach to policy evaluation.
Rational Expectations In Macroeconomic Models
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Author : P. Fisher
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Rational Expectations In Macroeconomic Models written by P. Fisher and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more! Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals. Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature. The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.
The Econometrics Of Macroeconomic Modelling
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Author : Gunnar Bårdsen
language : en
Publisher: OUP Oxford
Release Date : 2005-04-14
The Econometrics Of Macroeconomic Modelling written by Gunnar Bårdsen and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-14 with Business & Economics categories.
Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene. This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years. The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway. The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies.
The Specification Estimation And Simulation Of A Small Global Macroeconomic Model
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Author : James R. Malley
language : en
Publisher:
Release Date : 1990
The Specification Estimation And Simulation Of A Small Global Macroeconomic Model written by James R. Malley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Economic forecasting categories.
Dynamic Econometrics For Empirical Macroeconomic Modelling
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Author : Ragnar Nymoen
language : en
Publisher: World Scientific
Release Date : 2019-07-09
Dynamic Econometrics For Empirical Macroeconomic Modelling written by Ragnar Nymoen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-09 with Business & Economics categories.
For Masters and PhD students in EconomicsIn this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.Supplementary materials and notes are available on the publisher's website.